| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 16.81% | 1.08% |
| CAGR﹪ | 39.76% | 2.34% |
| Sharpe | 2.24 | -0.1 |
| Prob. Sharpe Ratio | 93.79% | 47.22% |
| Smart Sharpe | 2.2 | -0.1 |
| Sortino | 3.67 | -0.15 |
| Smart Sortino | 3.6 | -0.15 |
| Sortino/√2 | 2.6 | -0.11 |
| Smart Sortino/√2 | 2.55 | -0.1 |
| Omega | 1.52 | 1.05 |
| Max Drawdown | -4.49% | -3.09% |
| Max DD Date | 2026-06-10 | 2026-05-29 |
| Max DD Period Start | 2026-06-03 | 2026-04-10 |
| Max DD Period End | 2026-07-31 | 2026-06-18 |
| Longest DD Days | 59 | 70 |
| Volatility (ann.) | 13.8% | 8.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 8.85 | 0.76 |
| Skew | 0.14 | 0.28 |
| Kurtosis | 1.07 | 0.05 |
| Ulcer Performance Index | 10.46 | 0.67 |
| Risk-Adjusted Return | 39.76% | 2.46% |
| Risk-Return Ratio | 0.16 | 0.02 |
| Avg. Return | 0.15% | 0.01% |
| Avg. Win | 0.81% | 0.4% |
| Avg. Loss | -0.5% | -0.42% |
| Win/Loss Ratio | 1.6 | 0.94 |
| Profit Ratio | 1.2 | 1.02 |
| Expected Daily | 0.13% | 0.01% |
| Expected Monthly | 2.25% | 0.15% |
| Expected Yearly | 16.81% | 1.08% |
| Kelly Criterion | 23.67% | -7.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.85% |
| Expected Shortfall (cVaR) | -1.77% | -1.09% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.52 | 0.05 |
| Gain/Pain (1M) | 9.97 | 0.33 |
| Payoff Ratio | 1.6 | 0.94 |
| Profit Factor | 1.52 | 1.05 |
| Common Sense Ratio | 1.95 | 1.37 |
| CPC Index | 1.29 | 0.47 |
| Tail Ratio | 1.28 | 1.3 |
| Outlier Win Ratio | 3.22 | 2.94 |
| Outlier Loss Ratio | 3.17 | 2.78 |
| MTD | 1.08% | 1.26% |
| 3M | 3.82% | 1.16% |
| 6M | 16.81% | 1.08% |
| YTD | 16.81% | 1.08% |
| 1Y | 16.81% | 1.08% |
| 3Y (ann.) | 39.76% | 2.34% |
| 5Y (ann.) | 39.76% | 2.34% |
| 10Y (ann.) | 39.76% | 2.34% |
| All-time (ann.) | 39.76% | 2.34% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.58% | -1.34% |
| Best Month | 10.51% | 2.38% |
| Worst Month | -1.03% | -1.59% |
| Best Year | 16.81% | 1.08% |
| Worst Year | 16.81% | 1.08% |
| Avg. Drawdown | -1.18% | -1.58% |
| Avg. Drawdown Days | 10 | 21 |
| Recovery Factor | 3.56 | 0.4 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.45 | 0.14 |
| Avg. Up Month | 0.56% | 1.21% |
| Avg. Down Month | - | - |
| Win Days | 52.99% | 47.75% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.03 |
| Correlation | - | -3.25% |
| Treynor Ratio | - | -55.35% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 16.81 | 1.08 | 0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-10 | 2026-06-18 | -3.09 | 70 |
| 2026-07-31 | 2026-09-11 | -3.00 | 43 |
| 2026-06-26 | 2026-07-28 | -2.65 | 33 |
| 2026-09-17 | 2026-09-22 | -1.40 | 6 |
| 2026-06-23 | 2026-06-24 | -0.97 | 2 |
| 2026-03-25 | 2026-03-31 | -0.80 | 7 |
| 2026-04-02 | 2026-04-07 | -0.62 | 6 |
| 2026-09-15 | 2026-09-15 | -0.09 | 1 |